NGL Options History — September 2022

In September 2022, NGL traded between $1.26 and $1.59. ATM implied volatility averaged 167.0%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 38.6%. IV traded above realized volatility by 131.6% (HV 20d: 35.5%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2022-09-13: Highest Volume — 1,110 contracts
  • 2022-09-26: Largest IV spike — 105.9% change
  • 2022-09-07: Highest IV Rank — 100.0%
  • 2022-09-29: Largest Expected Move — 74.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.44$1.26$1.59$1.49$1.31
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV167.0%83.3%300.0%121.0%253.9%
Expected Move38.6%21.5%74.6%34.7%72.8%
HV 20d35.5%26.0%46.2%33.9%45.2%
HV 60d49.3%42.2%57.7%57.7%42.3%
IV Rank48.5%14.3%100.0%33.6%81.8%
IV Percentile76.9%33.3%100.0%85.7%98.0%
Term Structure-14.2%-52.1%33.9%-49.4%-38.2%
VWIV226.4%92.2%424.4%122.5%424.4%
Bid-Ask Spread %26.566.3579.477.8957.65
Gamma HHI0.840.770.880.820.88
Net GEX4.2K2.2K6.0K5.6K2.8K
Net DEX69.3K-175.6K293.0K-47.8K218.5K
Net VEX-6.1K-7.9K-4.3K-7.5K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.004.000.001.00
Total Volume327.714781,110140260
Total OI23,532.04823,17124,05323,18224,053

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$1.49$2.50121.0%34.7%33.9%33.6%0.0%0.0%-49.4%5.6K-47.8K-7.5K0.007.89N/AN/A140018,0455,137
2022-09-02$1.50$2.50112.1%32.2%34.1%29.6%0.0%0.0%-52.1%5.1K-37.1K-7.3K4.006.35N/AN/A166418,0475,137
2022-09-06$1.51$2.50151.3%32.4%32.7%47.4%122.5%0.0%-42.6%5.3K-142.6K-7.7K1.037.89N/AN/A21822518,0585,130
2022-09-07$1.49$2.50281.6%24.8%31.0%100.0%112.4%0.0%10.5%5.2K-37.7K-7.2K1.0210.48N/AN/A20521018,0415,130
2022-09-08$1.53$2.50300.0%21.5%28.0%100.0%0.0%0.0%33.9%6.0K-79.8K-7.9K0.3037.98N/AN/A601818,1145,115
2022-09-09$1.52$2.50163.7%21.5%26.0%46.1%0.0%0.0%33.0%5.5K-79.9K-7.5K0.0614.80N/AN/A87518,1325,133
2022-09-12$1.59$2.50184.2%30.5%31.4%54.2%0.0%0.0%31.9%5.9K-70.9K-7.7K0.1142.44N/AN/A3093318,1495,138
2022-09-13$1.52$2.50235.9%52.2%34.4%74.7%324.7%0.0%26.5%5.6K-99.8K-7.7K0.2279.47N/AN/A90820218,4555,171
2022-09-14$1.50$2.50168.6%48.3%33.8%48.1%0.0%0.0%20.2%5.4K-175.6K-7.8K0.2239.31N/AN/A912018,4855,181
2022-09-15$1.48$2.5085.8%24.6%33.9%15.3%0.0%0.0%0.0%5.8K-89.8K-7.5K0.7531.39N/AN/A685118,4865,201
2022-09-16$1.47$2.5085.9%24.6%33.3%15.4%140.7%0.0%-4.7%2.9K211.4K-5.1K1.2917.97N/AN/A20226118,4915,251
2022-09-19$1.49$2.5083.3%23.9%32.7%14.3%92.2%0.0%-20.2%5.2K-10.5K-6.9K0.057.89N/AN/A75418,2465,076
2022-09-20$1.48$2.5083.7%24.0%32.5%14.5%0.0%0.0%-21.2%2.9K293.0K-4.5K0.0016.06N/AN/A273018,2895,080
2022-09-21$1.45$2.5091.3%26.2%32.3%17.5%102.6%0.0%-22.7%2.2K132.2K-4.6K0.0312.34N/AN/A145418,2745,080
2022-09-22$1.44$2.5091.9%26.3%32.2%17.7%0.0%0.0%-23.8%3.0K263.5K-4.7K0.2722.07N/AN/A1173118,3795,076
2022-09-23$1.35$2.5092.6%26.6%38.2%18.0%93.6%0.0%-27.1%2.8K227.7K-4.7K0.1312.68N/AN/A1582018,5215,076
2022-09-26$1.26$2.50190.7%54.7%43.5%56.8%267.8%0.0%-33.4%2.6K237.3K-4.4K0.1518.62N/AN/A84413018,7265,093
2022-09-27$1.27$2.50215.4%61.7%43.9%66.6%360.8%0.0%-34.5%2.7K240.2K-4.4K0.1737.44N/AN/A75313018,8565,093
2022-09-28$1.31$2.50254.6%73.0%46.2%82.1%332.7%0.0%-34.8%2.8K244.6K-4.4K0.8342.74N/AN/A15713018,9105,093
2022-09-29$1.32$2.50260.4%74.6%45.8%84.4%342.5%0.0%-36.1%2.8K257.9K-4.3K1.0234.20N/AN/A12813018,9325,093
2022-09-30$1.31$2.50253.9%72.8%45.2%81.8%424.4%0.0%-38.2%2.8K218.5K-4.5K1.0057.65N/AN/A13013018,9605,093